Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0467 |
| Annualized Std Dev | 0.2748 |
| Annualized Sharpe (Rf=0%) | 0.1699 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5215.0000 |
| NAs | 1.0000 |
| Minimum | -0.2061 |
| Quartile 1 | -0.0058 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0068 |
| Maximum | 0.1633 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0173 |
| Skewness | -0.1747 |
| Kurtosis | 19.4177 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0124 |
| Gain Deviation | 0.0135 |
| Loss Deviation | 0.0145 |
| Downside Deviation (MAR=210%) | 0.0165 |
| Downside Deviation (Rf=0%) | 0.0123 |
| Downside Deviation (0%) | 0.0123 |
| Maximum Drawdown | 0.7651 |
| Historical VaR (95%) | -0.0218 |
| Historical ES (95%) | -0.0419 |
| Modified VaR (95%) | -0.0222 |
| Modified ES (95%) | -0.0222 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-08 | 2009-03-06 | 2019-10-18 | -0.7651 | 3197 | 523 | 2674 |
| 2020-02-18 | 2020-03-23 | NA | -0.4232 | 276 | 25 | NA |
| 2002-04-15 | 2002-10-09 | 2003-07-30 | -0.2071 | 327 | 125 | 202 |
| 2004-04-02 | 2004-05-10 | 2004-09-07 | -0.1884 | 108 | 26 | 82 |
| 2001-08-22 | 2001-10-24 | 2002-04-05 | -0.1439 | 152 | 41 | 111 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | 0 | 2.1 | -0.6 | -0.2 | 0.4 | 0.1 | -0.8 | 0.9 |
| 2001 | 0.1 | 0.1 | 0.3 | 0.1 | 0.1 | 0.1 | 0.4 | -0.3 | -2.4 | 1.9 | 0.4 | -0.6 | 0.3 |
| 2002 | 0.4 | 1 | 0.1 | 0.8 | 0.3 | -0.6 | -1.4 | 0.5 | -0.3 | 0.6 | 0.2 | 0.7 | 2.3 |
| 2003 | 1.1 | 0.2 | 1.7 | 0.9 | 2.1 | 1.2 | -0.4 | 0.6 | 0.7 | -0.4 | 1.3 | -0.7 | 8.5 |
| 2004 | 0.6 | 1.7 | 1.2 | -0.3 | -1.1 | 0.2 | 0.6 | -0.3 | 2.3 | 1 | 2.1 | -0.3 | 7.7 |
| 2005 | 1.5 | 0.9 | 0.3 | 1.2 | 1.4 | 0.9 | -0.2 | 0.8 | 1.3 | -1.7 | 1.4 | -0.8 | 7.1 |
| 2006 | 0.5 | 0.5 | 0.3 | -1.5 | 2.1 | 0.5 | -0.5 | -0.5 | -0.1 | -0.9 | -0.2 | -0.2 | -0.1 |
| 2007 | -0.1 | -0.6 | 0.9 | -0.5 | 0 | -0.1 | 1.6 | 2 | 2.7 | -3.6 | 0.9 | 0.3 | 3.3 |
| 2008 | 3.9 | -1.7 | 4.9 | 2.4 | -0.4 | 0.6 | 0.2 | -1.1 | -1.5 | 6.3 | -20.6 | 4.8 | -5.3 |
| 2009 | -3.2 | -1.5 | -0.9 | -3.4 | 4.2 | 1 | 0.1 | -5.1 | -4.2 | -1.9 | 1.3 | -1.9 | -14.9 |
| 2010 | 1.8 | 1 | 0.5 | -3.1 | -1.9 | -0.2 | 0.3 | 3.2 | 0.5 | 0.7 | 0.8 | -0.1 | 3.3 |
| 2011 | 0.5 | -2.7 | 0.2 | -0.5 | -2.8 | 1.8 | -1.3 | -1.7 | -2.6 | -3.4 | -1 | -0.5 | -13.3 |
| 2012 | 0.7 | 0.5 | 0.8 | 0.9 | -2.5 | 2.3 | -0.3 | 0.4 | -0.7 | 0.1 | 0.4 | 0.9 | 3.5 |
| 2013 | 0.7 | 0.2 | 0.3 | -0.7 | -1.2 | -0.5 | -0.6 | -0.8 | 1.5 | 0.6 | -0.9 | -0.3 | -1.7 |
| 2014 | 0.3 | 0.7 | 0.6 | 0.8 | 0.5 | 0.3 | -0.2 | 0.5 | 0.1 | 0.8 | -0.4 | -1.5 | 2.3 |
| 2015 | -1.6 | 0.7 | 0 | 0.5 | 1 | 1.5 | 0.6 | -1.9 | 0.5 | -0.7 | 1.2 | -0.8 | 1 |
| 2016 | 0 | 2.6 | 0.1 | -0.8 | 0.1 | -0.1 | 0.4 | -0.2 | -0.5 | -2.2 | -1.6 | 0.9 | -1.4 |
| 2017 | -1.2 | -0.3 | 0.5 | 0.6 | 0.4 | 0 | 0.4 | 0 | 0.1 | 0.1 | 0.2 | 0 | 0.8 |
| 2018 | -1.7 | -0.3 | 0 | 0.7 | 0.3 | 0.2 | 0.3 | 0.4 | -0.8 | 0.4 | 1 | 0.3 | 0.9 |
| 2019 | -0.7 | -0.2 | 0 | -0.1 | 0.4 | 0.3 | -0.1 | 0.1 | -1.1 | -0.1 | -0.3 | 0.6 | -1 |
| 2020 | -1.2 | -3.1 | -6.6 | -3.4 | 2.3 | 2.2 | -0.2 | 0.1 | 1.9 | -0.7 | 1.1 | 1.1 | -6.6 |
| 2021 | 2.4 | 0.3 | -1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
